903 research outputs found
Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Levy processes
The Fokker-Planck equations describe time evolution of probability densities
of stochastic dynamical systems and are thus widely used to quantify random
phenomena such as uncertainty propagation. For dynamical systems driven by
non-Gaussian L\'evy processes, however, it is difficult to obtain explicit
forms of Fokker-Planck equations because the adjoint operators of the
associated infinitesimal generators usually do not have exact formulation. In
the present paper, Fokker- Planck equations are derived in terms of infinite
series for nonlinear stochastic differential equations with non-Gaussian L\'evy
processes. A few examples are presented to illustrate the method.Comment: 14 page
GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization
In this paper we provide Galtchouk-Kunita-Watanabe representation results in
the case where there are restrictions on the available information. This allows
to prove existence and uniqueness for linear backward stochastic differential
equations driven by a general c\`adl\`ag martingale under partial information.
Furthermore, we discuss an application to risk-minimization where we extend the
results of F\"ollmer and Sondermann (1986) to the partial information framework
and we show how our result fits in the approach of Schweizer (1994).Comment: 22 page
A NOTE ON COMONOTONICITY AND POSITIVITY OF THE CONTROL COMPONENTS OF DECOUPLED QUADRATIC FBSDE
In this small note we are concerned with the solution of Forward-Backward
Stochastic Differential Equations (FBSDE) with drivers that grow quadratically
in the control component (quadratic growth FBSDE or qgFBSDE). The main theorem
is a comparison result that allows comparing componentwise the signs of the
control processes of two different qgFBSDE. As a byproduct one obtains
conditions that allow establishing the positivity of the control process.Comment: accepted for publicatio
Diffusion Approximation of Stochastic Master Equations with Jumps
In the presence of quantum measurements with direct photon detection the
evolution of open quantum systems is usually described by stochastic master
equations with jumps. Heuristically, from these equations one can obtain
diffusion models as approximation. A necessary condition for a general
diffusion approximation for jump master equations is presented. This
approximation is rigorously proved by using techniques for Markov process which
are based upon the convergence of Markov generators and martingale problems.
This result is illustrated by rigorously obtaining the diffusion approximation
for homodyne and heterodyne detection.Comment: 15 page
Random Time Forward Starting Options
We introduce a natural generalization of the forward-starting options, first
discussed by M. Rubinstein. The main feature of the contract presented here is
that the strike-determination time is not fixed ex-ante, but allowed to be
random, usually related to the occurrence of some event, either of financial
nature or not. We will call these options {\bf Random Time Forward Starting
(RTFS)}. We show that, under an appropriate "martingale preserving" hypothesis,
we can exhibit arbitrage free prices, which can be explicitly computed in many
classical market models, at least under independence between the random time
and the assets' prices. Practical implementations of the pricing methodologies
are also provided. Finally a credit value adjustment formula for these OTC
options is computed for the unilateral counterparty credit risk.Comment: 19 pages, 1 figur
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence
This article studies the pricing of options in an extended Black Scholes economy in which the underlying asset is not perfectly liquid. The resulting liquidity risk is modeled as a stochastic supply curve, with the transaction price being a function of the trade size. Consistent with the market microstructure literature, the supply curve is upward sloping with purchases executed at higher prices and sales at lower prices. Optimal discrete time hedging strategies are then derived. Empirical evidence reveals a significant liquidity cost intrinsic to every option
Efficiently Clustering Very Large Attributed Graphs
Attributed graphs model real networks by enriching their nodes with
attributes accounting for properties. Several techniques have been proposed for
partitioning these graphs into clusters that are homogeneous with respect to
both semantic attributes and to the structure of the graph. However, time and
space complexities of state of the art algorithms limit their scalability to
medium-sized graphs. We propose SToC (for Semantic-Topological Clustering), a
fast and scalable algorithm for partitioning large attributed graphs. The
approach is robust, being compatible both with categorical and with
quantitative attributes, and it is tailorable, allowing the user to weight the
semantic and topological components. Further, the approach does not require the
user to guess in advance the number of clusters. SToC relies on well known
approximation techniques such as bottom-k sketches, traditional graph-theoretic
concepts, and a new perspective on the composition of heterogeneous distance
measures. Experimental results demonstrate its ability to efficiently compute
high-quality partitions of large scale attributed graphs.Comment: This work has been published in ASONAM 2017. This version includes an
appendix with validation of our attribute model and distance function,
omitted in the converence version for lack of space. Please refer to the
published versio
Jump-diffusion unravelling of a non Markovian generalized Lindblad master equation
The "correlated-projection technique" has been successfully applied to derive
a large class of highly non Markovian dynamics, the so called non Markovian
generalized Lindblad type equations or Lindblad rate equations. In this
article, general unravellings are presented for these equations, described in
terms of jump-diffusion stochastic differential equations for wave functions.
We show also that the proposed unravelling can be interpreted in terms of
measurements continuous in time, but with some conceptual restrictions. The
main point in the measurement interpretation is that the structure itself of
the underlying mathematical theory poses restrictions on what can be considered
as observable and what is not; such restrictions can be seen as the effect of
some kind of superselection rule. Finally, we develop a concrete example and we
discuss possible effects on the heterodyne spectrum of a two-level system due
to a structured thermal-like bath with memory.Comment: 23 page
First exit times of solutions of stochastic differential equations driven by multiplicative Levy noise with heavy tails
In this paper we study first exit times from a bounded domain of a gradient
dynamical system perturbed by a small multiplicative
L\'evy noise with heavy tails. A special attention is paid to the way the
multiplicative noise is introduced. In particular we determine the asymptotics
of the first exit time of solutions of It\^o, Stratonovich and Marcus canonical
SDEs.Comment: 19 pages, 2 figure
Anomalous jumping in a double-well potential
Noise induced jumping between meta-stable states in a potential depends on
the structure of the noise. For an -stable noise, jumping triggered by
single extreme events contributes to the transition probability. This is also
called Levy flights and might be of importance in triggering sudden changes in
geophysical flow and perhaps even climatic changes. The steady state statistics
is also influenced by the noise structure leading to a non-Gibbs distribution
for an -stable noise.Comment: 11 pages, 7 figure
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